Time-Series Modelling of Daily Tax Revenues

Marius Ooms, Björn de Groot (144192bg@student.eur.nl) and Siem Jan Koopman
Additional contact information
Björn de Groot: Erasmus University, Rotterdam

No 312, Computing in Economics and Finance 1999 from Society for Computational Economics

Abstract: This paper discusses a time-series model for daily tax revenues. The model is an unobserved-components model with trend and seasonal components that vary over time. The seasonalities for inter-month and intra-month movements are modelled using stochastic cubic splines. The model is made operational and used to produce daily forecasts at the Dutch Ministry of Finance. A front-end for model configuration and data input is implemented with Visual C ++, while the econometrics and graphical diagnostics are build around Ox and SsfPack, the latter of which implements general procedures for the Kalman filter and state-space models.

Date: 1999-03-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.eur.nl/few/ei/links/ooms/papers/taxesrv.zip main text (application/x-zip)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.eur.nl/few/ei/links/ooms/papers/taxesrv.zip [301 Moved Permanently]--> https://www.eur.nl:443/few/ei/links/ooms/papers/taxesrv.zip)

Related works:
Journal Article: Time Series Modelling of Daily Tax Revenues (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf9:312

Access Statistics for this paper

More papers in Computing in Economics and Finance 1999 from Society for Computational Economics CEF99, Boston College, Department of Economics, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum (baum@bc.edu).